Downside variance premium, firm fundamentals, and expected corporate bond returns
研究发现个股下行方差溢价（风险中性与实际预期下行方差之差）能正向预测公司债券未来收益，做多高溢价债券、做空低溢价债券的月度超额收益达0.37%-0.42%，且该效应在非投资级和长期债券中更强。
We find a strong and robust positive relationship between individual downside variance premia (DVP)–the difference between risk-neutral and physical expected downside variances–and future corporate bond returns. The spread portfolio that longs the high DVP bond portfolio and shorts the low DVP bond portfolio earns a statistically significant excess return of 0.37% (0.42%) per month in value- (equal-)weighted returns. The alpha estimates from various factor models remain statistically significant and economically substantial. The predictive power of the downside variance premium is stronger in noninvestment-grade (long-maturity) corporate bonds than in investment-grade (short-maturity) bonds. We show that the downside variance premium positively relates to the likelihood of future default and cash flow uncertainty and negatively relates to future cash flows.